How to get sun lamps to get rendered indirectly
The sun is not really a lamp. It is an abstraction that sets a light direction from an infinitely far away place, and it doesn't have a real place in the 3d workspace. In other words: Only the rotation will determine the direction of the lights and shadows, regardless of placement.



If you want a lamp that when placed in the 3d environment shines from a specific specific point, then use a point light (or a spot or area light).



By default. lamps do not appear in the rendered image.
There are two options to make a light source visible:


Add some volume scattering to the world, and that will create a hazy atmosphere (think of what happens in the real world with smog or suspended particles), the light source will be thus revealed.




Or 


Make a mesh with an emission shader insted of (or on top of) using lamps.